Nah. The "Don't end a sentence with a preposition" 'rule' is more akin to a strong guideline that can be dispensed with if it makes the sentence sound more natural (never beginning a sentence with a conjunction is another). There's a few of these, and the Grammar Nazi has more deserving victims to pursue than a handful of borderline cases, I'd think. You know, like beating Dubya over the head with a 12" dildo every time he says 'nukular' in a public speech.

It's not just the problem of ending a sentence with a preposition; the sentence was in the inquisitive, using the question word "where," and also included the word "at," which is redundent and bad form, grammar-wise.